Hi Ferdinando,
I created a suggestion to fix the test-case here
https://github.com/lballabio/quantlib/pull/271since the suite fails again today and I just can't stand it any much longer ;-)
However I am wondering if IMM::nextDate() and ASX::nextDate() should
skip a future maturity where the underlying is fixed already anyway ?
What do you think ?
Thanks a lot
Peter
On 13 June 2015 at 23:44, Ferdinando M. Ametrano
<
[hidden email]> wrote:
> Hi Peter
>
> I will look into this asap
>
> thx
>
> On Fri, Jun 12, 2015 at 3:56 PM, Peter Caspers <
[hidden email]>
> wrote:
>>
>> Hello Ferdinando,
>>
>> the PiecewiseYieldCurve tests from the current master fail on system
>> date 11-Jun-2015. The guilty code seems to be
>>
>> L476 asxStart is 12-Jun-2015 in some cases ...
>> L485 ... then asxFut.forwardRate() will ask for the Euribor 3M fixing
>> as of 10-Jun-2015
>>
>> which is not set. Should we just exclude the cases where the fixing
>> date is before the evaluation date ?
>>
>> Thanks
>> Peter
>>
>>
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